This paper studies the implications of security-market data for the risk premia on economic risk variables and the variance of stochastic discount factors, or pricing kernels. We derive a lower bound on the variance of pricing kernels consistent with asset returns, given the risk premium they...

If a pricing kernel assigns a premium to a risk variable that differs from the one assigned by the minimum-variance admissible kernel, then the pricing kernel must exhibit more variability than the minimum-variance kernel. Based on this intuition, we derive a variance bound that is more...

This paper deals with market models where there is no compatible positive state price density.